Interper output from cajorls and VECM

[Rmillan]

Hi all R users,

I'm finding it a bit hard to interpret the output from the cajorls and VECM function. I'm trying to model a VECM model with cointegration rank of 6, and therefore I get the varibles ECT1, ECT2... ECT6 in my output. Are these representing the estimates for my loading matrix or also denoted the "alpha" matrix?

Thanks in advanced

Emil

[Laura Catalina Echeverri]

Hello Rmillan,

I was looking for the same issue and I found that the variables ECT1, ECT2... are the loading matrix, as you can check in the example of the paper found at http://cran.r-project.org/web/packages/vars/vignettes/vars.pdf

The example is on pages 24-25

Best,
Laura